Browsing Norges Banks vitenarkiv by Subject "bootstrapping"
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A Test of Uncovered Interest Rate Parity for Ten European Countries Based on Bottstrapping and Panel Data Models
(Working Papers;9/1997, Working paper, 1997)Based on both single country models and panel data models uncovered interest rate parity is tested for ten European countries relative to Germany by regressing exchange rate changes on interest rate differentials. The ... -
Bootstrapping the Likelihood Ratio Cointegration Test in Error Correction Models with Unknown Lag Order
(Working Papers;12/2009, Working paper, 2009)We investigate the small-sample size and power properties of bootstrapped likelihood ratio systems cointegration tests via Monte Carlo simulations when the true lag order of the data generating process is unknown. A recursive ...